High-Frequency Trading Strategies

• 成果类型: Article
• 署名作者: Goldstein, Michael; Kwan, Amy; Philip, Richard
• 署名单位: Babson College; University of New South Wales Sydney; University of Sydney
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4539
• 发表日期: 2023
• 页码: 4413-4434
• 关键词: High-frequency trading; institutional investors; RETAIL INVESTORS

摘要

We examine the effect of high-frequency trading on market quality from the perspective of a limit order trader. By competing with slower limit order traders, high-frequency traders impose a welfare externality by selectively crowding out the most profitable limit orders. The order book imbalance immediately before each order submission, cancellation, and trade suggests that high-frequency traders strategically use limit order book information to supply liquidity on the thick side of the order book and demand liquidity from the thin side. This strategic behavior is more pronounced during volatile periods and when trading speeds increase.